Professor of Econometrics
Vrije Universiteit Amsterdam School of Business and Economics
CREATES, Aarhus University
- (January 12, 2017)
New entries have appeared in the recent publications section.
- (Dec 27, 2017)
Top 40 of Economists
in The Netherlands for 2017 is out. It is published by
- (Dec 17, 2017)
Thank you for making the
EC^2 conference 2017 on
"Time-varying Parameter Models" in Amsterdam, 14-15 December 2017, a great event !!
- (Dec 17, 2017)
New entries have appeared in the recent papers section.
- (June 24, 2017)
Call for Papers
EC^2 conference 2017 on
"Time-varying Parameter Models" in Amsterdam, 14-15 December 2017, is available.
The deadline for paper submission is 30 September 2017, please visit our
- (May 26, 2017)
Our former PhD student
dr. Geert Mesters (Universitat Pompeu Fabra, Barcelona)
has been awarded the 2017
Arnold Zellner Thesis Award in Econometrics and Statistics:
American Statistical Association and
Congratulations, Geert !
- (May 8, 2017)
An entry on jobmarket candidates from "vu econometrics" is added below.
- (January 9, 2017)
have been updated.
Jobmarket candidates 2018
The following jobmarket candidates from
the "vu econometrics" group are available for interviews at
the AEA/ASSA annual meeting in Philadelphia, in January, 2018:
Recent working papers
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
by Paolo Gorgi, Peter R. Hansen, Pawel Janus and SJK (2017 updated).
Maximum Likelihood Estimation for correctly specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
by Francisco Blasques, SJK and Andre Lucas (2017 updated).
Continuous time state space modeling with an application to high-frequency road traffic data
by SJK, Jacques J.F. Commandeur, Frits D. Bijleveld and Suncica Vujic (2017).
Forecasting football match results in national league competitions using score-driven time series models
with Rutger Lit (2017).
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting
with Francisco Blasques and Paolo Gorgi (2017).
Long Term Forecasting of El Nino Events via Dynamic Factor Simulations
by Mengheng Li, SJK, Rutger Lit and Desislava Petrova (2017).
Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
with Andre Lucas and Marcin Zamojski (2017).
The Dynamic Factor Network Model with an Application to Global Credit-Risk
with Falk Brauning (2016).
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
with Francisco Blasques, Paolo Gorgi and Olivier Wintenberger (2016).
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
with Istvan Barra (2016).
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”
with Francisco Blasques, Paolo Gorgi and Olivier Wintenberger (2015).
Generalized Autoregressive Method of Moments
with Drew Creal, Andre Lucas and Marcin Zamojski (2015).
Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
by SJK, Rutger Lit and Andre Lucas (2015).
All working papers...
Siem Jan Koopman
S.J. Koopman | Department of Econometrics | Vrije Universiteit Amsterdam SBE | De Boelelaan 1105 | 1081 HV Amsterdam | The Netherlands
VU Campus | Main Building
Telephone:+31 20 598 60 19
Fax:+31 20 598 60 20
E-mail: s.j.koopman [at] vu.nl
Secretary: Hedda Werkman (+31 20 598 6010)
SJK is Professor of Econometrics at the
Department of Econometrics,
Vrije Universiteit Amsterdam.
He is also a research fellow at
long-term Visiting Professor
at CREATES, University of Aarhus.
Furthermore, he is a
Journal of Applied Econometrics
Distinguished Author, and
Society of Financial Econometrics
He held positions at
London School of Economics and
CentER (Tilburg University), and
had long-term visits at
US Bureau of the Census,
European University Institute,
European Central Bank, Financial Research.
Time Series Analysis by State Space Methods
is written by J. Durbin and SJK. The book originally appeared in 2001, the
Second Edition in 2012.
An Introduction to State Space Time Series Analysis
appeared in 2007 and is written by J.J.F. Commandeur and SJK.
His other books (co-authored, software and editorial) are listed
The research interests of SJK cover topics in time series econometrics,
financial econometrics, forecasting and simulation-based estimation.
His current research focusses on score-driven time-varying parameter models
state space models and dynamic factor models.
He fullfills editorial duties at
Journal of Business and Economic Statistics,
Journal of Applied Econometrics,
Journal of Forecasting.
Finally, SJK is an
software developer for